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Suppose that F1 and F2 are two futures contracts on the same commodity with times to maturity, t1 an

Suppose that F1 and F2 are two futures contracts on the same commodity with times to maturity, t1 and t2, where t2 > t1. Prove that

F2 = F1er(t2-t1),

where r is the interest rate (assumed constant) and there are no storage costs. For the purposes of this problem, assume that a futures contract is the same as a forward contract.

Apr 07 2020 Read more Less More

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